Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0048 |
| Annualized Std Dev | 0.2591 |
| Annualized Sharpe (Rf=0%) | -0.0185 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3385.0000 |
| NAs | 1.0000 |
| Minimum | -0.1470 |
| Quartile 1 | -0.0058 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0062 |
| Maximum | 0.1608 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0003 |
| Stdev | 0.0163 |
| Skewness | 0.0311 |
| Kurtosis | 14.0540 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0117 |
| Gain Deviation | 0.0125 |
| Loss Deviation | 0.0133 |
| Downside Deviation (MAR=210%) | 0.0161 |
| Downside Deviation (Rf=0%) | 0.0116 |
| Downside Deviation (0%) | 0.0116 |
| Maximum Drawdown | 0.7348 |
| Historical VaR (95%) | -0.0228 |
| Historical ES (95%) | -0.0401 |
| Modified VaR (95%) | -0.0220 |
| Modified ES (95%) | -0.0220 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-03 | 2009-03-09 | NA | -0.7348 | 3373 | 351 | NA |
| 2007-09-10 | 2007-09-10 | 2007-09-14 | -0.0329 | 2 | 1 | 1 |
| 2007-09-17 | 2007-09-17 | 2007-09-19 | -0.0167 | 2 | 1 | 1 |
| 2007-09-20 | 2007-09-20 | 2007-09-26 | -0.0113 | 5 | 1 | 4 |
| 2007-09-28 | 2007-09-28 | 2007-10-02 | -0.0025 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | -0.2 | -1.7 | 5.6 | -0.6 | 2.9 |
| 2008 | 0.7 | -0.5 | 1.7 | -0.2 | -0.2 | -2.8 | -1.2 | 0 | 0.3 | 9.6 | -7.4 | 4 | 3.1 |
| 2009 | -3.3 | -0.7 | 2.7 | -1.1 | 5.5 | 2.8 | 3.4 | -3 | -2.7 | -2 | 3.8 | -0.6 | 4.5 |
| 2010 | 1.4 | 1.3 | 0.8 | -1.5 | -2 | 2.3 | 0.3 | 3.2 | 1.1 | 0.4 | 1.5 | 0.3 | 9.4 |
| 2011 | 1.4 | -1.4 | 0.6 | 0 | -2 | 0.9 | -0.5 | -1.1 | -2.3 | -3 | -1.3 | 0.1 | -8.2 |
| 2012 | 1.2 | 0 | 0.7 | 0.5 | -1.8 | 2.5 | 0.5 | 0.5 | -0.4 | 0.8 | -0.1 | 1 | 5.6 |
| 2013 | 0.4 | 0.6 | -0.9 | -0.9 | -1.4 | -0.2 | -0.5 | -0.6 | 1.2 | 0 | -0.1 | -0.2 | -2.8 |
| 2014 | -0.4 | 0.7 | -0.1 | 0.6 | 0.2 | 0 | -0.1 | 0.3 | -0.4 | 2.2 | 0 | -1.1 | 2 |
| 2015 | -1.5 | 0.2 | 0.2 | 0.9 | 1.2 | 2.1 | 1.4 | -2.4 | -0.5 | -0.9 | 0.2 | 0 | 0.9 |
| 2016 | 1.1 | 2.1 | -0.4 | -1.1 | -0.2 | 0.5 | -0.2 | 0.2 | -0.2 | -0.9 | -1.9 | 1 | -0.2 |
| 2017 | -0.4 | -0.4 | 0.4 | 0.3 | 0.1 | -0.4 | 0.2 | 0.2 | 0.9 | 0.4 | 0.4 | 0.1 | 1.8 |
| 2018 | -1.1 | -0.2 | 0.8 | 0.5 | 0.2 | 0.1 | -0.7 | 0.1 | -0.1 | 0.4 | -0.3 | -0.3 | -0.7 |
| 2019 | -0.6 | -0.3 | 0.1 | 0.3 | 0 | 0.2 | -0.6 | 0.1 | -0.9 | 0.3 | -0.4 | 0.6 | -1.2 |
| 2020 | -0.9 | -2.8 | -5.6 | -3.2 | 2.3 | 1.8 | -0.6 | -0.4 | 1.8 | -0.7 | 1.7 | 0.1 | -6.6 |
| 2021 | 1.1 | 0.6 | -0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-08-30 49.5 SPY 146. -0.0027 -0.0025 -0.0019 -0.0515 0.119 0.322 0.587 GLD 65.8 -0.0041 0.0075
2 2007-09-05 50.5 SPY 148. -0.0087 0.0283 0.0108 -0.0267 0.125 0.313 0.674 GLD 67.6 0.0018 0.03
3 2007-09-10 48.8 SPY 146. -0.0019 -0.0122 0.0028 -0.0364 0.122 0.295 0.620 GLD 69.6 0.0033 0.0466
4 2007-09-14 51.0 SPY 149. -0.0001 0.0194 0.0557 -0.0272 0.126 0.31 0.665 GLD 70.0 -0.0013 0.0086
5 2007-09-17 50.1 SPY 148. -0.0054 0.0158 0.0422 -0.0313 0.12 0.313 0.652 GLD 71.0 0.014 0.0194
6 2007-09-19 53 SPY 153. 0.0059 0.0371 0.0603 0.0147 0.161 0.355 0.746 GLD 71.4 -0.0038 0.0138
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
